| Close | |
|---|---|
| Annualized Return | -0.0027 |
| Annualized Std Dev | 0.1444 |
| Annualized Sharpe (Rf=0%) | -0.0188 |
| Close | |
|---|---|
| Observations | 4624.0000 |
| NAs | 1.0000 |
| Minimum | -0.0880 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0037 |
| Maximum | 0.1108 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | 0.2467 |
| Kurtosis | 24.0070 |
| Close | |
|---|---|
| Semi Deviation | 0.0064 |
| Gain Deviation | 0.0073 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.5363 |
| Historical VaR (95%) | -0.0119 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0099 |
| Modified ES (95%) | -0.0099 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-08-05 | 2008-12-15 | 2012-01-26 | -0.5363 | 1629 | 845 | 784 |
| 2012-11-29 | 2020-03-23 | NA | -0.3839 | 2091 | 1840 | NA |
| 2003-07-03 | 2004-05-13 | 2005-06-29 | -0.1941 | 502 | 218 | 284 |
| 2012-02-03 | 2012-03-16 | 2012-09-28 | -0.1303 | 166 | 30 | 136 |
| 2002-11-19 | 2003-03-26 | 2003-07-02 | -0.1024 | 153 | 85 | 68 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.1 | 0.7 | 0.8 |
| 2003 | -0.4 | -0.2 | 1.6 | 0 | -0.1 | -0.1 | 1.2 | 0.6 | 1.8 | 0 | 1.2 | -0.1 | 5.5 |
| 2004 | 0.3 | 0.7 | -1.1 | 0.8 | 0.9 | 0.6 | 0.5 | -0.4 | -0.6 | 1.5 | -0.1 | -0.2 | 2.9 |
| 2005 | 0.5 | 0.4 | 0 | 0.1 | -0.5 | 0.6 | 0.2 | 1 | 0.1 | 0.7 | -0.8 | -0.4 | 1.8 |
| 2006 | 0.1 | 0.2 | 0.1 | -0.1 | 0.8 | 0.5 | 0.1 | -0.7 | -1.2 | 0.9 | 0.1 | -0.9 | -0.1 |
| 2007 | -0.1 | -0.1 | 0.5 | 0.1 | 0.1 | -0.6 | 0.1 | 0.6 | -0.3 | -1.2 | 0.1 | 0.6 | -0.2 |
| 2008 | 1.5 | -2.7 | 0.2 | -0.1 | -0.6 | 0.2 | 0.1 | 0.2 | -0.5 | 1 | -2 | -0.8 | -3.4 |
| 2009 | 0.6 | -2.3 | 1.6 | 0 | 0.7 | 1.8 | 2.9 | -0.2 | -0.8 | -1.5 | -1.9 | 0.7 | 1.5 |
| 2010 | 1 | -0.1 | -1 | 0.4 | -0.1 | 0.4 | 0.9 | 0.3 | 0.7 | -0.9 | 1.2 | -0.2 | 2.4 |
| 2011 | 1.1 | 0.3 | 1 | -0.5 | 0.9 | 0.8 | 1.2 | 0.7 | 0.1 | 0.7 | 0.6 | 0.3 | 7.5 |
| 2012 | -0.2 | 0 | -0.1 | 0.5 | -0.2 | 0.8 | -0.7 | -0.5 | -0.5 | 0.1 | -1.2 | 0.2 | -1.7 |
| 2013 | 0.9 | 0.1 | 0.4 | 0.4 | -1.2 | 0 | 0.6 | -0.6 | 0 | -0.9 | 0.1 | 0.1 | -0.1 |
| 2014 | 0.5 | -0.6 | -0.1 | 0.3 | -0.3 | -0.4 | -0.2 | 0.5 | 0.2 | -0.4 | 0.3 | 0.1 | 0.1 |
| 2015 | 0.6 | 0 | 0.1 | -0.2 | 0.7 | 0.5 | 1.1 | -0.6 | 0.5 | 0.2 | 0.1 | 0.9 | 4 |
| 2016 | 0.4 | -0.1 | 0.3 | 0.5 | 1 | 0.2 | -0.1 | 1.2 | 0.1 | -0.1 | -1.5 | 0.2 | 2 |
| 2017 | 0.2 | -0.2 | 0.2 | -0.1 | 0 | 0.4 | 0.5 | 0.3 | 0.3 | 0.5 | -0.1 | 0.2 | 2.2 |
| 2018 | 0 | -0.2 | 0.2 | 0 | 0 | 0.2 | -0.2 | -0.2 | 0.7 | 0.3 | 0.3 | 0.1 | 1.3 |
| 2019 | 0.4 | -0.2 | 0 | 0.5 | 0.1 | 0.2 | 0.1 | 0.4 | 0.4 | 0.2 | 0.2 | -0.1 | 2.4 |
| 2020 | 0.3 | -2.2 | -2.5 | 0.6 | 0.7 | 0.6 | 0.1 | 0.4 | 0.1 | 0.2 | -0.1 | 0.5 | -1.6 |
| 2021 | 0.4 | 0.9 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-10-29 15 SPY 88.6 -0.0116 -0.0106 0.0829 -0.0284 -0.176 -0.316 NA <NA> NA NA NA
2 2002-10-30 15 SPY 89.4 0.0097 -0.0085 0.0433 0.0073 -0.158 -0.300 NA <NA> NA NA NA
3 2002-10-31 15 SPY 88.5 -0.0102 0.0018 0.0646 0.0199 -0.163 -0.320 NA <NA> NA NA NA
4 2002-11-01 15 SPY 90.3 0.0198 0.0008 0.0967 0.0776 -0.168 -0.329 NA <NA> NA NA NA
5 2002-11-04 15 SPY 91.1 0.0095 0.017 0.128 0.0524 -0.166 -0.335 NA <NA> NA NA NA
6 2002-11-05 15 SPY 91.8 0.0079 0.037 0.161 0.0426 -0.170 -0.322 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>